Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0813 |
| Annualized Std Dev | 0.1774 |
| Annualized Sharpe (Rf=0%) | 0.4585 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3385.0000 |
| NAs | 1.0000 |
| Minimum | -0.1018 |
| Quartile 1 | -0.0047 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0059 |
| Maximum | 0.1321 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0112 |
| Skewness | -0.2361 |
| Kurtosis | 16.6093 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0082 |
| Gain Deviation | 0.0078 |
| Loss Deviation | 0.0090 |
| Downside Deviation (MAR=210%) | 0.0128 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.4005 |
| Historical VaR (95%) | -0.0156 |
| Historical ES (95%) | -0.0266 |
| Modified VaR (95%) | -0.0150 |
| Modified ES (95%) | -0.0150 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-13 | 2009-03-06 | 2010-11-04 | -0.4005 | 761 | 340 | 421 |
| 2018-01-29 | 2020-03-23 | 2020-11-16 | -0.2941 | 707 | 541 | 166 |
| 2011-07-08 | 2011-10-03 | 2012-11-30 | -0.1525 | 353 | 61 | 292 |
| 2016-07-11 | 2016-12-01 | 2017-12-08 | -0.1119 | 359 | 102 | 257 |
| 2015-08-18 | 2015-09-29 | 2016-03-17 | -0.1009 | 147 | 30 | 117 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 1 | 0.7 | -0.9 | -1.4 | 0 | 2.3 | 1.2 | -0.4 | 2.4 |
| 2008 | 1.1 | -1.8 | 13.2 | -0.5 | 1 | -0.9 | 0.2 | -1.2 | 10.1 | 2.5 | -4.4 | 1.9 | 21.6 |
| 2009 | -2.6 | 0 | 1.5 | 0.1 | 2.6 | 1.6 | 0.3 | -1.1 | -1.4 | -1.5 | 1.4 | -0.8 | 0.1 |
| 2010 | 0.7 | 1.2 | 0.7 | -1 | -0.1 | -0.4 | 0.4 | 1.5 | -0.1 | -0.1 | 1.1 | 0.1 | 4.2 |
| 2011 | 1.4 | -1.4 | 0.5 | 0.9 | -1.8 | 1.2 | -0.1 | -0.8 | -1.4 | -2.7 | -0.1 | -0.6 | -4.8 |
| 2012 | 0.8 | 0.5 | 0.3 | -0.6 | -2.3 | 2.9 | -0.4 | 0.6 | 0.4 | 1.1 | 0.3 | 1.4 | 5 |
| 2013 | 0.9 | 0.9 | -0.4 | -0.6 | -1.6 | 0.9 | 1.5 | 0 | 0.9 | -0.1 | -0.3 | 0.1 | 2.1 |
| 2014 | 0.1 | 0.6 | 0.1 | 0 | 0.3 | 0.4 | 0.8 | 0.1 | -1 | 1 | -0.6 | -1.1 | 0.6 |
| 2015 | -2.2 | 0.7 | -0.1 | 1.3 | -0.3 | 1 | 0 | -2.6 | 0.1 | 0.2 | 0.5 | -1.1 | -2.4 |
| 2016 | 1.4 | 1 | 1.3 | 0 | 0.9 | -0.5 | -0.2 | -0.4 | 1 | -0.3 | -0.8 | -0.4 | 2.9 |
| 2017 | -0.6 | 0.6 | 0 | -0.4 | 1.2 | 0.7 | 0 | 0.8 | 0.3 | 0.1 | 0 | -0.3 | 2.3 |
| 2018 | -0.4 | -0.7 | 1 | -0.5 | 0.2 | -0.4 | -1.1 | 0.5 | -0.6 | 2 | -0.4 | 0.6 | 0 |
| 2019 | -0.2 | -0.4 | 0 | -0.5 | -0.8 | 0.4 | 0.8 | 0.7 | -0.7 | 0.9 | -0.4 | 0.1 | -0.3 |
| 2020 | -1.7 | -1.9 | -2.3 | -2.5 | 0.6 | -0.4 | -0.1 | -0.7 | 0.4 | -1 | 0.6 | 0.6 | -8 |
| 2021 | -0.2 | 1.3 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-10 19.8 SPY 150. -1.05e-2 -0.0051 0.0386 0.0314 0.128 0.360 0.372 GLD 66 -0.0215 -0.0221
2 2007-05-11 19.8 SPY 151. 8.60e-3 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 0.0068 -0.0255
3 2007-05-14 19.8 SPY 151. -2.20e-3 -0.0028 0.0359 0.0494 0.150 0.372 0.424 GLD 66.3 -0.0026 -0.0289
4 2007-05-15 19.8 SPY 151. 3.00e-4 -0.00120 0.0264 0.0409 0.165 0.363 0.396 GLD 66.5 0.0039 -0.0197
5 2007-05-16 19.8 SPY 152. 6.80e-3 0.00290 0.0307 0.0411 0.171 0.378 0.375 GLD 65.6 -0.0141 -0.0274
6 2007-05-17 19.9 SPY 151. -2.00e-3 0.0115 0.0274 0.0377 0.170 0.375 0.378 GLD 65.1 -0.0082 -0.0142
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
